Author: Admin

5.0 currently don’t have the validation test cases.

See attached Word file containing the description of the issue.

In the complex type ‘FormulaTerm’ the element ‘partialDerivativeReference’ is of type ‘PricingParameterDerivativeReference’ whilst in the type ‘WeightedPartialDerivative’ the same element name has type ‘PricingStructureReference’. Either the type is wrong or the element is misnamed in the second case. Have not checked previous version to see how long this inconsistency has existed.

At FpML 4-5 (and subsequent versions), validation rule ird-7 was “formalised” with a natural language description as follows: English Description: Context: InterestRateStream (complex type) The existence of compoundingMethod is required when the frequencies differ, and prohibited when they are the same The problem is that the description does not state *which* frequencies differ. I propose … Continued

‘fpml-credit-event-notification-5-0.xsd’ is limited to the reporting view, is listed as src-include in the Confirmation view of ‘fpml-shared-5-0.xsd’

5.0 Equity Swaps examples fail to pass validation. The problem seems to be in xsd:group name=”CurrencyAndDeterminationMethod.model”. The currency element is of type Currency instead of Identified Currency. This makes that references to this currency element fail to validate since there is no id attribute within it. One of the examples failing validation is eqs-ex01-single-underlyer-execution-long-form.xml

Between FpML 4.2 and 4.3 two additional optional elements where added to ExerciseProcedure to support bond options namely limitedRightToConfirm and splitTicket. The new elements appear as valid content within the Swaption product even though they are not appropriate. I would like to use the original portion of this class in the refactored 5.0 FX products … Continued

The definition of the asian option features allows ‘averagingInOut’ code to be specified independently of the associated periods. It is possible to define that the option has ‘averagingIn’ whilst only providing a period for averaging out. Whilst this could be prevented by the definition of a business rule as few implementations actually check business rules … Continued

The definition of //element(*, Future)/multiplier in the documentation is uncler. I have seen it confused with period Multiplier, price Multipliers and even when used correctly to multiply contract numbers, the calculation isn’t always correct. Element multiplier IS-A xsd:positiveInteger which is documented as “Specifies the contract multiplier that can be associated with the number of units”. … Continued

File: fpml-eqd-5-0.xsd Element “feature” (of type EquityOptionFeature) is defined in type EquityDerivativeBase. EquityForward overrides “feature” because of the inclusion of LongFormDerivative.model (defined in file fpml-eq-shared-5-0.xsd)